I have both Visual Studio Express 2012 and Vicual C++ Express 2010. I get the same result with both of their 32 bit MASM compilers (ml.exe). I don't know, but I suspect non-express users might have the same issues.

I'm trying to compile a small program with MASM. Apparently I need to include masm32rt.inc. The compiler complains that it cannot find such a file, and indeed I don't seem to have it on my system. After some search, I managed to find a version of that file, but it turned out to be just more include-s and includelib-s of files I don't have.

I tried include \masm32\include\masm32rt.inc, include \masm32\include\windows.inc, include windows.inc, and include masm32rt.inc. I tried compiling them with the visual studio express command prompt for both 2010 and 2012 with > ml test.asm. I tried searching for those files and I don't have them on my pc. I do have some (30 or so) .inc files like macamd64.inc and mm.inc, but none of them seem to contain what I need: declarations of the Windows functions and constants.

Is there something I'm missing? Google didn't offer much help. Most tutorials assume I have those files. But then again most tutorials begin with instructions to donwload MASM from masm32.com. Can't I use any of the MASM compilers that I already have?

No, ml is just the Assembler. Unless you want to reinvent the wheel and create all includes and import libs, then you need to install masm32. It includes needed includes, import libs, structs, equates etc... It will make your life much easier